Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0766
Annualized Std Dev 0.1886
Annualized Sharpe (Rf=0%) 0.4061

Row

Daily Return Statistics

Close
Observations 3992.0000
NAs 1.0000
Minimum -0.0934
Quartile 1 -0.0039
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0054
Maximum 0.1105
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0119
Skewness -0.0901
Kurtosis 12.7030

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0087
Loss Deviation 0.0098
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5381
Historical VaR (95%) -0.0177
Historical ES (95%) -0.0297
Modified VaR (95%) -0.0164
Modified ES (95%) -0.0175
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-05-15 -0.5381 1409 355 1054
2020-02-20 2020-03-23 2020-07-10 -0.3084 99 23 76
2018-09-21 2018-12-24 2019-04-23 -0.2027 146 65 81
2015-07-21 2015-08-25 2016-04-20 -0.1340 190 26 164
2020-09-03 2020-09-23 2020-12-28 -0.1144 80 14 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA 0.9 0 0.5 0.2 -0.4 -0.4 0.8 -0.5 1
2006 0.4 0.6 -0.4 -0.7 1.1 -0.2 -0.4 0.4 -0.1 -0.4 -0.3 -0.3 -0.3
2007 0.1 -0.2 -0.2 0.3 0.3 -0.3 0.9 0.9 1.4 -2.5 0.8 -0.8 0.8
2008 0.5 -2.5 3.7 2 0.1 0 -0.5 -1.3 0.2 0.8 -8.5 0.9 -4.7
2009 -1.9 -2.5 2.1 0.6 1.7 0.3 0.2 -2.1 -2.1 -2.8 1.1 -0.9 -6.1
2010 1 0.6 0.4 -1.4 -0.8 -0.5 -0.1 2.7 0.4 0.1 2.1 0 4.5
2011 1.8 -1.3 0.2 0.2 -1.6 1.3 -0.1 -1.1 -2.3 -2.8 -0.1 -0.4 -6.2
2012 0.8 0.5 0.3 0.6 -2.2 2.4 -0.1 0.4 0.3 0.9 0.1 1.6 5.5
2013 0.9 0.2 -0.1 -0.7 -1.5 0.5 0.9 -0.3 0.7 -0.1 0.1 0.5 1.1
2014 -0.9 0.1 0.5 -0.1 0.3 0.9 -0.4 0.1 -1.2 1 -0.7 -1.1 -1.6
2015 -1.2 -0.3 -0.6 0.8 -0.1 0.6 -0.3 -3.1 0.3 -0.8 1 -1.1 -4.7
2016 0 2.5 0.7 -0.4 -0.1 0.4 0 -0.1 0.7 -0.5 -0.5 -0.4 2.3
2017 0.4 1.4 -0.1 0.5 0.5 0.1 0.3 0.2 0.4 0.1 -0.1 -0.4 3.3
2018 0 -1.8 1.6 0.2 0.9 0 0.5 0.1 0.6 0.8 0.7 1 4.6
2019 -0.2 0.7 1.2 -0.6 -1.6 1 -0.9 -0.1 -1 0.9 -0.2 0.2 -0.7
2020 -1.6 -0.3 -3.8 -2.4 0.3 1 1.5 1.2 0.8 -1.5 1.2 0.2 -3.6
2021 1.7 2.5 -0.1 NA NA NA NA NA NA NA NA NA 4.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart